Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Antofagasta plc backtest
10 trend-following strategies were compared on the full daily history of Antofagasta plc. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.5%, drawdown -78.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.4%, MDD -18.8%, Sharpe 0.93, 10% exposure.
CAGR reference leader: Supertrend — CAGR 15.9%, MDD -69.7%, exposure 53%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=5, atrPeriod=23, mult=2.6 |
8.4% | -18.8% | 0.93 | 0.45 | 21.7x | 160 | 10% |
| Supertrend period=9, mult=3.8 |
15.9% | -69.7% | 0.70 | 0.23 | 277.2x | 308 | 53% |
| 볼린저 밴드 돌파 n=21, k=3.2 |
6.1% | -20.5% | 0.64 | 0.30 | 9.6x | 74 | 9% |
| Donchian 채널 돌파 entryN=46, exitN=12 |
11.0% | -53.8% | 0.63 | 0.20 | 52.9x | 210 | 31% |
| ADX / DI 방향성 period=23, threshold=28 |
6.6% | -24.7% | 0.57 | 0.27 | 11.3x | 122 | 18% |
| SMA 크로스오버 fast=32, slow=55 |
12.0% | -63.1% | 0.56 | 0.19 | 75.6x | 188 | 57% |
| EMA 크로스오버 fast=45, slow=60 |
11.8% | -66.3% | 0.55 | 0.18 | 68.8x | 98 | 60% |
| Parabolic SAR step=0.01, maxStep=0.08 |
10.8% | -88.7% | 0.52 | 0.12 | 49.9x | 415 | 53% |
| MACD fast=7, slow=36, signal=12 |
10.5% | -72.1% | 0.51 | 0.15 | 44.8x | 673 | 50% |
| ROC 모멘텀 n=129, threshold=0.05 |
8.7% | -71.2% | 0.46 | 0.12 | 24.2x | 310 | 55% |
| Buy and hold | 16.5% | -78.8% | 0.59 | 0.21 | 338.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 5-day average + 2.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 5-day average